ProShares UltraPro QQQ (TQQQ)

TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

• Looking at the total return of 1252.6% in the last 5 years of ProShares UltraPro QQQ, we see it is relatively larger, thus better in comparison to the benchmark SPY (121.6%)
• Compared with SPY (64.5%) in the period of the last 3 years, the total return, or performance of 333.1% is higher, thus better.

CAGR:

'The compound annual growth rate (CAGR) is a useful measure of growth over multiple time periods. It can be thought of as the growth rate that gets you from the initial investment value to the ending investment value if you assume that the investment has been compounding over the time period.'

• Looking at the annual performance (CAGR) of 68.4% in the last 5 years of ProShares UltraPro QQQ, we see it is relatively larger, thus better in comparison to the benchmark SPY (17.3%)
• Looking at compounded annual growth rate (CAGR) in of 63.1% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (18.1%).

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

• The 30 days standard deviation over 5 years of ProShares UltraPro QQQ is 65%, which is greater, thus worse compared to the benchmark SPY (18.7%) in the same period.
• Looking at historical 30 days volatility in of 76.8% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (22.5%).

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

• The downside volatility over 5 years of ProShares UltraPro QQQ is 46.6%, which is larger, thus worse compared to the benchmark SPY (13.5%) in the same period.
• Looking at downside deviation in of 55.2% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (16.4%).

Sharpe:

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

• Looking at the ratio of return and volatility (Sharpe) of 1.01 in the last 5 years of ProShares UltraPro QQQ, we see it is relatively higher, thus better in comparison to the benchmark SPY (0.79)
• During the last 3 years, the Sharpe Ratio is 0.79, which is higher, thus better than the value of 0.69 from the benchmark.

Sortino:

'The Sortino ratio, a variation of the Sharpe ratio only factors in the downside, or negative volatility, rather than the total volatility used in calculating the Sharpe ratio. The theory behind the Sortino variation is that upside volatility is a plus for the investment, and it, therefore, should not be included in the risk calculation. Therefore, the Sortino ratio takes upside volatility out of the equation and uses only the downside standard deviation in its calculation instead of the total standard deviation that is used in calculating the Sharpe ratio.'

• Looking at the downside risk / excess return profile of 1.42 in the last 5 years of ProShares UltraPro QQQ, we see it is relatively greater, thus better in comparison to the benchmark SPY (1.09)
• Looking at ratio of annual return and downside deviation in of 1.1 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (0.95).

Ulcer:

'The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement, it's the downside that causes stress and stomach ulcers that the index's name suggests.'

• The Downside risk index over 5 years of ProShares UltraPro QQQ is 18 , which is larger, thus worse compared to the benchmark SPY (5.58 ) in the same period.
• Compared with SPY (6.83 ) in the period of the last 3 years, the Ulcer Index of 23 is larger, thus worse.

MaxDD:

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

• Looking at the maximum reduction from previous high of -69.9 days in the last 5 years of ProShares UltraPro QQQ, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (-33.7 days)
• During the last 3 years, the maximum reduction from previous high is -69.9 days, which is lower, thus worse than the value of -33.7 days from the benchmark.

MaxDuration:

'The Drawdown Duration is the length of any peak to peak period, or the time between new equity highs. The Max Drawdown Duration is the worst (the maximum/longest) amount of time an investment has seen between peaks (equity highs). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

• Looking at the maximum time in days below previous high water mark of 296 days in the last 5 years of ProShares UltraPro QQQ, we see it is relatively greater, thus worse in comparison to the benchmark SPY (139 days)
• During the last 3 years, the maximum days under water is 296 days, which is larger, thus worse than the value of 139 days from the benchmark.

AveDuration:

'The Drawdown Duration is the length of any peak to peak period, or the time between new equity highs. The Avg Drawdown Duration is the average amount of time an investment has seen between peaks (equity highs), or in other terms the average of time under water of all drawdowns. So in contrast to the Maximum duration it does not measure only one drawdown event but calculates the average of all.'

• Looking at the average days below previous high of 55 days in the last 5 years of ProShares UltraPro QQQ, we see it is relatively greater, thus worse in comparison to the benchmark SPY (33 days)
• Looking at average days under water in of 81 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (35 days).